Well, following the link in the comments at the bottom of SparkFun's page leads to http://www.skpang.co.uk/catalog/arduino-canbus-shield-with-usd-card-holder-p-706.html, which has examples, including a library.

If you search in the upper right for MCP25 you will find a few dozen threads discussing the same chipset. There should be some usefull info in there that ..or just using google I found- http://secuduino.blogspot.com/2011/02/primeros-pasos.html -- http://arduino.cc/blog/2010/12/16/can-shield-and-a-mcp2515-library/ -